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This study proposes an efficient Newton-type method for the optimal control of switched systems under a given mode sequence. A mesh-refinement-based approach is utilized to discretize continuous-time optimal control problems (OCPs) using the direct multiple-shooting method to formulate a nonlinear program (NLP), which guarantees the local convergence of a Newton-type method. A dedicated structure-exploiting algorithm (Riccati recursion) is proposed that efficiently performs a Newton-type method for the NLP because its sparsity structure is different from a standard OCP. The proposed method computes each Newton step with linear time-complexity for the total number of discretization grids as the standard Riccati recursion algorithm. Additionally, it can always solve the Karush-Kuhn-Tucker (KKT) systems arising in the Newton-type method if the solution is sufficiently close to a local minimum. Conversely, general quadratic programming (QP) solvers cannot accomplish this because the Hessian matrix is inherently indefinite. Moreover, a modification on the reduced Hessian matrix is proposed using the nature of the Riccati recursion algorithm as the dynamic programming for a QP subproblem to enhance the convergence. A numerical comparison is conducted with off-the-shelf NLP solvers, which demonstrates that the proposed method is up to two orders of magnitude faster. Whole-body optimal control of quadrupedal gaits is also demonstrated and shows that the proposed method can achieve the whole-body model predictive control (MPC) of robotic systems with rigid contacts.

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黑塞矩陣(Hessian Matrix),又譯作海森矩陣、海瑟矩陣、海塞矩陣等,是一個多元函數的二階偏導數構成的方陣,描述了函數的局部曲率。黑塞矩陣最早于19世紀由德國數學家Ludwig Otto Hesse提出,并以其名字命名。黑塞矩陣常用于牛頓法解決優化問題。

We revisit convergence rates for maximum likelihood estimation (MLE) under finite mixture models. The Wasserstein distance has become a standard loss function for the analysis of parameter estimation in these models, due in part to its ability to circumvent label switching and to accurately characterize the behaviour of fitted mixture components with vanishing weights. However, the Wasserstein metric is only able to capture the worst-case convergence rate among the remaining fitted mixture components. We demonstrate that when the log-likelihood function is penalized to discourage vanishing mixing weights, stronger loss functions can be derived to resolve this shortcoming of the Wasserstein distance. These new loss functions accurately capture the heterogeneity in convergence rates of fitted mixture components, and we use them to sharpen existing pointwise and uniform convergence rates in various classes of mixture models. In particular, these results imply that a subset of the components of the penalized MLE typically converge significantly faster than could have been anticipated from past work. We further show that some of these conclusions extend to the traditional MLE. Our theoretical findings are supported by a simulation study to illustrate these improved convergence rates.

Past work shows that one can associate a notion of Shannon entropy to a Dirichlet polynomial, regarded as an empirical distribution. Indeed, entropy can be extracted from any $d\in\mathsf{Dir}$ by a two-step process, where the first step is a rig homomorphism out of $\mathsf{Dir}$, the \emph{set} of Dirichlet polynomials, with rig structure given by standard addition and multiplication. In this short note, we show that this rig homomorphism can be upgraded to a rig \emph{functor}, when we replace the set of Dirichlet polynomials by the \emph{category} of ordinary (Cartesian) polynomials. In the Cartesian case, the process has three steps. The first step is a rig functor $\mathbf{Poly}^{\mathbf{Cart}}\to\mathbf{Poly}$ sending a polynomial $p$ to $\dot{p}\mathcal{y}$, where $\dot{p}$ is the derivative of $p$. The second is a rig functor $\mathbf{Poly}\to\mathbf{Set}\times\mathbf{Set}^{\text{op}}$, sending a polynomial $q$ to the pair $(q(1),\Gamma(q))$, where $\Gamma(q)=\mathbf{Poly}(q,\mathcal{y})$ can be interpreted as the global sections of $q$ viewed as a bundle, and $q(1)$ as its base. To make this precise we define what appears to be a new distributive monoidal structure on $\mathbf{Set}\times\mathbf{Set}^{\text{op}}$, which can be understood geometrically in terms of rectangles. The last step, as for Dirichlet polynomials, is simply to extract the entropy as a real number from a pair of sets $(A,B)$; it is given by $\log A-\log \sqrt[A]{B}$ and can be thought of as the log aspect ratio of the rectangle.

Using backpropagation to compute gradients of objective functions for optimization has remained a mainstay of machine learning. Backpropagation, or reverse-mode differentiation, is a special case within the general family of automatic differentiation algorithms that also includes the forward mode. We present a method to compute gradients based solely on the directional derivative that one can compute exactly and efficiently via the forward mode. We call this formulation the forward gradient, an unbiased estimate of the gradient that can be evaluated in a single forward run of the function, entirely eliminating the need for backpropagation in gradient descent. We demonstrate forward gradient descent in a range of problems, showing substantial savings in computation and enabling training up to twice as fast in some cases.

Partition of unity methods (PUM) are of domain decomposition type and provide the opportunity for multiscale and multiphysics numerical modeling. Different physical models can exist within a PUM scheme for handling problems with zones of linear elasticity and zones where fractures occur. Here, the peridynamic (PD) model is used in regions of fracture and smooth PUM is used in the surrounding linear elastic media. The method is a so-called global-local enrichment strategy. The elastic fields of the undamaged media provide appropriate boundary data for the localized PD simulations. The first steps for a combined PD/PUM simulator are presented. In part I of this series, we show that the local PD approximation can be utilized to enrich the global PUM approximation to capture the true material response with high accuracy efficiently. Test problems are provided demonstrating the validity and potential of this numerical approach.

Like most multiobjective combinatorial optimization problems, biobjective optimization problems on matroids are in general intractable and their corresponding decision problems are in general NP-hard. In this paper, we consider biobjective optimization problems on matroids where one of the objective functions is restricted to binary cost coefficients. We show that in this case the problem has a connected efficient set with respect to a natural definition of a neighborhood structure and hence, can be solved efficiently using a neighborhood search approach. This is, to the best of our knowledge, the first non-trivial problem on matroids where connectedness of the efficient set can be established. The theoretical results are validated by numerical experiments with biobjective minimum spanning tree problems (graphic matroids) and with biobjective knapsack problems with a cardinality constraint (uniform matroids). In the context of the minimum spanning tree problem, coloring all edges with cost 0 green and all edges with cost 1 red leads to an equivalent problem where we want to simultaneously minimize one general objective and the number of red edges (which defines the second objective) in a Pareto sense.

Orthogonal polynomials of several variables have a vector-valued three-term recurrence relation, much like the corresponding one-dimensional relation. This relation requires only knowledge of certain recurrence matrices, and allows simple and stable evaluation of multivariate orthogonal polynomials. In the univariate case, various algorithms can evaluate the recurrence coefficients given the ability to compute polynomial moments, but such a procedure is absent in multiple dimensions. We present a new Multivariate Stieltjes (MS) algorithm that fills this gap in the multivariate case, allowing computation of recurrence matrices assuming moments are available. The algorithm is essentially explicit in two and three dimensions, but requires the numerical solution to a non-convex problem in more than three dimensions. Compared to direct Gram-Schmidt-type orthogonalization, we demonstrate on several examples in up to three dimensions that the MS algorithm is far more stable, and allows accurate computation of orthogonal bases in the multivariate setting, in contrast to direct orthogonalization approaches.

This paper studies distributed algorithms for (strongly convex) composite optimization problems over mesh networks, subject to quantized communications. Instead of focusing on a specific algorithmic design, a black-box model is proposed, casting linearly-convergent distributed algorithms in the form of fixed-point iterates. While most existing quantization rules, such as the popular compression rule, rely on some form of communication of scalar signals (in practice quantized at the machine precision), this paper considers regimes operating under limited communication budgets, where communication at machine precision is not viable. To address this challenge, the algorithmic model is coupled with a novel random or deterministic Biased Compression (BC-)rule on the quantizer design as well as with a new Adaptive range Non-uniform Quantizer (ANQ) and communication-efficient encoding scheme, which implement the BC-rule using a finite number of bits (below machine precision). A unified communication complexity analysis is developed for the black-box model, determining the average number of bits required to reach a solution of the optimization problem within a target accuracy. In particular, it is shown that the proposed BC-rule preserves linear convergence of the unquantized algorithms, and a trade-off between convergence rate and communication cost under quantization is characterized. Numerical results validate our theoretical findings and show that distributed algorithms equipped with the proposed ANQ have more favorable communication complexity than algorithms using state-of-the-art quantization rules.

$\newcommand{\NP}{\mathsf{NP}}\newcommand{\GapSVP}{\textrm{GapSVP}}$We give a simple proof that the (approximate, decisional) Shortest Vector Problem is $\NP$-hard under a randomized reduction. Specifically, we show that for any $p \geq 1$ and any constant $\gamma < 2^{1/p}$, the $\gamma$-approximate problem in the $\ell_p$ norm ($\gamma$-$\GapSVP_p$) is not in $\mathsf{RP}$ unless $\NP \subseteq \mathsf{RP}$. Our proof follows an approach pioneered by Ajtai (STOC 1998), and strengthened by Micciancio (FOCS 1998 and SICOMP 2000), for showing hardness of $\gamma$-$\GapSVP_p$ using locally dense lattices. We construct such lattices simply by applying "Construction A" to Reed-Solomon codes with suitable parameters, and prove their local density via an elementary argument originally used in the context of Craig lattices. As in all known $\NP$-hardness results for $\GapSVP_p$ with $p < \infty$, our reduction uses randomness. Indeed, it is a notorious open problem to prove $\NP$-hardness via a deterministic reduction. To this end, we additionally discuss potential directions and associated challenges for derandomizing our reduction. In particular, we show that a close deterministic analogue of our local density construction would improve on the state-of-the-art explicit Reed-Solomon list-decoding lower bounds of Guruswami and Rudra (STOC 2005 and IEEE Trans. Inf. Theory 2006). As a related contribution of independent interest, we also give a polynomial-time algorithm for decoding $n$-dimensional "Construction A Reed-Solomon lattices" (with different parameters than those used in our hardness proof) to a distance within an $O(\sqrt{\log n})$ factor of Minkowski's bound. This asymptotically matches the best known distance for decoding near Minkowski's bound, due to Mook and Peikert (IEEE Trans. Inf. Theory 2022), whose work we build on with a somewhat simpler construction and analysis.

We derive bounds on the eigenvalues of a generic form of double saddle-point matrices. The bounds are expressed in terms of extremal eigenvalues and singular values of the associated block matrices. Inertia and algebraic multiplicity of eigenvalues are considered as well. The analysis includes bounds for preconditioned matrices based on block diagonal preconditioners using Schur complements, and it is shown that in this case the eigenvalues are clustered within a few intervals bounded away from zero. Analysis for approximations of Schur complements is included. Some numerical experiments validate our analytical findings.

In this paper, we study the optimal convergence rate for distributed convex optimization problems in networks. We model the communication restrictions imposed by the network as a set of affine constraints and provide optimal complexity bounds for four different setups, namely: the function $F(\xb) \triangleq \sum_{i=1}^{m}f_i(\xb)$ is strongly convex and smooth, either strongly convex or smooth or just convex. Our results show that Nesterov's accelerated gradient descent on the dual problem can be executed in a distributed manner and obtains the same optimal rates as in the centralized version of the problem (up to constant or logarithmic factors) with an additional cost related to the spectral gap of the interaction matrix. Finally, we discuss some extensions to the proposed setup such as proximal friendly functions, time-varying graphs, improvement of the condition numbers.

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